Implied volatility in oil markets

DOI10.1016/J.CSDA.2008.02.013MaRDI QIDQ961396zbMATH OpenOpenAlexFDO

Authors Svetlana Borovkova, Ferry J. Permana

Publication date 30 March 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2008.02.013

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Dynamics of implied volatility surfaces
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• Generalised long-memory GARCH models for intra-daily volatility
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• Implied volatility in oil markets
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• The pricing of options and corporate liabilities
• Volatility forecasting using threshold heteroskedastic models of the intra-day range

Cited in

(6)

• Implied volatility and state price density estimation: arbitrage analysis
• Estimation and prediction under local volatility jump-diffusion model
• The volatility risk premium in the oil market
• Investment disputes and their explicit role in option market uncertainty and overall risk instability
• Implied volatility smoothing at COVID-19 times
• Implied volatility in oil markets

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